Investment Nowcasting. A Real-Time Estimate with High Frequency Indicators
Fiorella Dogliolo ()
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Fiorella Dogliolo: Central Bank of Argentina, UNLP
No 201878, BCRA Working Paper Series from Central Bank of Argentina, Economic Research Department
In this paper I present a real-time estimation of the evolution of the Investment, constructed from a broad set of high frequency economic indicators: known in the literature as Nowcasting. The Nowcast exercise was developed considering three groups of monthly indicators throughout dynamic factor models to forecast Investment growth. Additionally, I conducted a forecast-pooling exercise. Using the Giacomini and White test it was possible to conclude that factor models and the pooling exhibit a better relative predictive capacity than an AR(1) model considered as a benchmark. Furthermore, the inclusion of more indicators does not necessarily improve the predictive capacity.
Keywords: nowcasting; dynamic factor models; real-time forecasting; forecast pooling (search for similar items in EconPapers)
JEL-codes: C22 C53 E37 (search for similar items in EconPapers)
Pages: 36 pages
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Persistent link: https://EconPapers.repec.org/RePEc:bcr:wpaper:201878
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